Fast American Monte Carlo
10 Pages Posted: 7 Jan 2005
Date Written: January 5, 2005
Within the American Monte Carlo framework, we present a method to combine least-squares regression with variance reduction techniques. Our method, based on constructing dynamic control variates, results in significant speed increase, as well as as higher accuracy in the exercise strategy estimation. Furthermore, we provide new results on the speed of convergence of the least-squares American Monte Carlo method.
Keywords: American Monte Carlo, least-squares regression, variance reduction
JEL Classification: C00, G1
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